Search Results - subject:"Volatility transmissions"

A joint impulse response function for vector autoregressive models

Wiesen, Thomas F. P.; Beaumont, Paul Michael - In: Empirical economics : a quarterly journal of the … 66 (2024) 4, pp. 1553-1585

Persistent link: https://www.econbiz.de/10014519875

Vulnerability of a developing stock market to openness : one-way return and volatility transmissions

Hassan, Aminu; Ibrahim, Masud Usman; Bala, Ahmed Jinjiri - In: International review of financial analysis 93 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014543513

Roles of stable versus nonstable cryptocurrencies in Bitcoin market dynamics

Brik, Hatem; El Ouakdi, Jihene; Ftiti, Zied - In: Research in international business and finance 62 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10014247888

Dynamic transmissions between main stock markets and SME stock markets : evidence from tropical economies

Nguyen, Trang; Chaiechi, Taha; Eagle, Lynne C.; Low, … - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 308-324

Persistent link: https://www.econbiz.de/10012416910

Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment

Khalifa, A.; Hammoudeh, S.; Otranto, E. - Centro Ricerche Nord Sud (CRENoS) - 2012

This study examines the volatility transmissions across the Gulf Arab states (GCC) stock markets and the linkages …

Persistent link: https://www.econbiz.de/10010667347

Regulatory Change, Structural Breaks and Transmission Effects in HSIF abd HSI Volatility

Gannon, Gerard; Au-Yeung, Siu Pang - Deakin University, Faculty of Business and Law, School … - 2004

A systematic BEKK-GARCH model with multiple switch points in the variance equations is found to capture the structural changes that have taken place in the Hong Kong markets. Abolishment of the uptick rule in the Hong Kong stock market, increase of initial margins and electronic trading of Hang...

Persistent link: https://www.econbiz.de/10004982341

Structural Effects and Spillovers in HSIF, HSI and S&P500 Volatility

Gannon, Gerard; Au-Yeung, Siu Pang - Deakin University, Faculty of Business and Law, School … - 2004

We adopt a BEKK-GARCH framework and employ a systematic approach to jointly examine structural breaks in the Hong Kong cash index and index futures volatility and volatility spillovers from the S&P 500 cash and futures. Multiple switching dummy variables are included in the variance equations to...

Persistent link: https://www.econbiz.de/10004982349